Risk-neutral investors do not acquire information

被引：1
|
作者：
Muendler, Marc-Andreas [1 ]
机构：
[1] Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA
来源：
FINANCE RESEARCH LETTERS | 2008年 / 5卷 / 03期
关键词：
Information acquisition; Risk neutrality; Portfolio choice;
D O I：
10.1016/j.frl.2008.04.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Give a risk-neutral investor the choice to acquire a costly signal prior to asset market equilibrium. She refuses to pay for the signal under general conditions. The reason is that a risk-neutral investor is indifferent between a risky asset or a safe bond in optimum and expects the same return to her portfolio ex ante, whether or not she acquires information. Risk neutrality thus implies the absence of costly information from asset price in competitive asset markets. (c) 2008 Elsevier Inc. All rights reserved.
引用
收藏
页码：156 / 161
页数：6
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